Acta Oeconomica Pragensia 2005, 13(1):101-111 | DOI: 10.18267/j.aop.141

The Fractal Market Analysis and Its Application on Czech Conditions

Tran Van Quang
Ing. Tran Van Quang - student of doctoral study; Department of Banking and Insurance, Faculty of Finance and Accounting, University of Economics, Prague, nám. W. Churchilla 4, 130 67 Prague 3, Czech Republic, tran@vse.cz

This paper reviews the theoretical concept of "Effecient Market Hypothesis" and introduces new concept of "Fractal Market Hypothesis". According to this hypothesis the returns follow a biased random walk called a Hurst persistent process which is characterized as long memory process. Testing this concept on Czech stock market index PX50, the (R/S) analysis was carried out and the Hurst exponent was calculated. It finds out that stock returns of PX50 follows a persistent Hurst process with Hurst exponent of 0,662. This is significantly different from the value for a random walk and it is corresponding to results of other researches done before.

Keywords: fractal market hypothesis, Hurst exponent, Hurst persistent process
JEL classification: E44

Published: March 1, 2005  Show citation

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Van Quang, T. (2005). The Fractal Market Analysis and Its Application on Czech Conditions. Acta Oeconomica Pragensia, 13(1), 101-111. doi: 10.18267/j.aop.141
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